Dear Statalist,
I have an estimator in Mata that produces a set of coefficient
estimates and also a var-covar matrix. I then transform the
coefficients using a non-linear process. Ordinarily I would then use
the delta method to calculate the var-covar matrix for transformed
coefficients. To do this in Stata I would use "nlcom" and in Gauss I
would use "gradp" to find the gradient vector of the new parameters,
but I can not find a function to do this in Mata. Any advice on how
to do this would be much appreciated.
Kind regards,
George
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